S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0656	10.40***
β GARCH Volatility persistence	0.7824	69.00***
γ leverage Additional response to negative shocks	0.0174	2.56**
λ₁ tau intercept Baseline long-term coefficient	0.0111	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.5639	0.45
λ₃ tau persistence Long-term factor persistence	0.3429	0.23

V-Lab

Vanguard CDN AGG BD IDX ETF MF2-GARCH Volatility Analysis

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